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I've looked at the Tudor statutes that Blackstone discussed in connection with "Egyptians." The last of these laws, which was still on the books when he wrote the Commentaries, dates from 1562. This 1562 Act confirms that children born in Britain to Roma people were considered subjects of the Crown even though their parents were not allowed to live there.
The statute begins by observing that there was some "scruple and doubt" about whether previous laws punishing "Egyptians" applied to "persons born within this realm" in the same manner as "strangers, born and transported into this realm." The Act then says that while all "Egyptians" are felons, the law "shall not compel any person or persons born within the Queen's Dominions to depart out of this realm of England or Wales, but only to constrain and bind them and every of them to leave their said naughty and idle life and company and to place themselves in some honest service, or to exercise themselves at home with their parents or elsewhere honestly in some lawful work trade or occupation." (I've modernized the spellings.)
Three points. First, there was a clear distinction between people born in Britain and those who were not (both in the preface of the Act and in its conclusion). Second, those Roma born in Britain were subject to the same anti-vagrancy or vagabond crimes that applied to other native-born subjects. (As confirmed by a 1597 statute that Blackstone did not discuss.)
Third, neither Blackstone nor anyone else I can identify ever said that "Egyptians" born in Britain were not subjects of the Crown because their parents could not legally live in Britain. Surely someone would have said that in the two centuries between the 1562 Act and the Commentaries if that were true.